[JulianCohen]

I haven’t had a chance to test this yet but it could be worth looking at as a different Index Filter

http://throwinggoodmoney.com/matts-breadth-indicator/

[JulianCohen]

Try a different exit. The way you have it at present you can only ever make the gap between the X days high and the entry as the profit. So if you set that to 10% that’s the only profit you can make.

[JulianCohen]

Oh wait a minute….I see what you have done…no need to correct me ha ha

[JulianCohen]

OK…I would think about using TStop = H * 0.95 as the setup bar could be a long one and the low would be far away. This way the TStop is keeping close to the entry level and you can then decide if you want 5% or 10% from the same point. Does that make sense?

[JulianCohen]

So you would set Entry < HHV - (HHV * 0.1) as a condition? Just checking...

[JulianCohen]

I’ll let you know when Nick and I have worked out my problem with backtesting. I get incorrect results so all I can do at the moment is write systems but can’t test them.

[JulianCohen]

I’ll let you know when Nick and I have worked out my problem with backtesting. I get incorrect results so all I can do at the moment is write systems but can’t test them.

[JulianCohen]

Amazingly all it needed was for me to write out this post and go have a shower. The answer came to me in a blinding flash! Maybe next time I won’t write the post and just have the shower and see if that also works….it is after all a process of elimination for me most of the time.

[JulianCohen]

I also had problems wading through the maths, in fact I didn’t ha ha. But I read it as they compared the ROC for January over the last 20 years, then Feb for the last 20 years then March etc etc…to give a kind of correlation matrix for each month over the last 20 years. They are then saying you can see a pattern that some months are bullish and some are bearish. That’s my reading of it but I’m open to corrections

[JulianCohen]

This might be a little bit too much for me at the moment coding wise, but you guys might want to play around with this idea:

http://blog.alphaarchitect.com/2016/05/18/return-seasonalities-are-everywhere/#gs.LozC_Oo

[JulianCohen]

I’ll go back and look it up. Thanks Craig

[JulianCohen]

Just a quick question. When do you use OpenInt as opposed to Close?

[JulianCohen]

I hope to make it. I will be in Abu Dhabi and they frown on anything that circumvents their own telecoms, what’s app calls, FaceTime and Skype don’t work. Hopefully this will.

[JulianCohen]

I just read the Dual Momentum book. Basically I think it can be summed up as follows:

Compare ROC(252) of SPY index against a world index ETF…he suggests VEU

If the higher of either is higher than the ROC(252) of BIL, a bond index ETF, then buy the stock ETF. Otherwise buy the Bond ETF. Recheck each month.

That’s it…keep it simple :cheer:

It can easily be adapted to compare other index ETFs against each other etc…

It could be added to a system as an additional unit.

I’m quite a way behind you guys in coding but happy to test and contribute if I can

[JulianCohen]

It always makes sense when you know how to do it

You have been a great help. Thank you

[Author]

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